7.3.1
Hedging Short VXX
PYTHON PLUGIN
Volatility
Hedging
Description
Strategy 7.3.1: Short VXX with VIX futures tail hedge
Strategy Logic
Strategy 7.3.1: Hedging Short VXX.
Maintain a core short VXX position for carry, hedged with a small long
position in VIX futures (or VIX call options) to limit tail risk.
Expects two symbols: the VXX-like product and a VIX-futures hedge.
Parameters
| Parameter | Default Value | Type |
|---|---|---|
| vxx_symbol | VXX | str |
| hedge_symbol | VIX_FUT | str |
| hedge_ratio | 0.2 | float |
| vol_lookback | 21 | int |
| max_vol_threshold | 0.8 | float |
Risk Configuration
| Risk Parameter | Value |
|---|---|
| Max Position Pct | 6.0% |
| Stop Loss Pct | 12.0% |
| Take Profit Pct | 10.0% |
| Max Drawdown Pct | 20.0% |